Snug! It wont work if the helmet is not securely strapped to your head. Here is a good article/post about wearing helmets.

You want the helmet to be comfortably touching the head all the way around, level and stable enough to resist even violent shakes or hard blows and stay in place. It should be as low on the head as possible to maximize side coverage, and held level on the head with the strap comfortably snug.

Coincidentally I brought my kids to a local bike safety event this weekend. The rules they prescribed were: (1) If you look up you should be able to see the front of your helmet, (2) The straps should form a "V" around your ears, and (3) When you open your mouth you should feel the helmet push down on the top of your head.